The annual iTunes Festival is underway, start watching it live now!

After months of build up, the annual Apple iTunes Festival is now underway in London. Tonight's first headline act of the month long event is Lady Gaga, and you can watch the whole set live on your iOS device, Mac, Windows PC or Apple TV!

To watch on your iPhone, iPad or iPod touch you'll need to pick up the free iTunes Festival application, recently updated to support the all important video streaming needed to follow the action. On your Apple TV it's as easy as finding the iTunes Festival channel, and on your Mac or Windows PC just open up your iTunes desktop app and follow the banner ads.

It's an exciting month for music fans, and once again the iTunes Festival has pulled out some of the biggest names in the business. The next 30 nights will see the likes of Justin Timberlake, Katy Perry, Sir Elton John, Kings of Leon, Thirty Seconds to Mars and many, many more. If you got tickets for any of the events, congratulations! If not, take comfort in knowing you need not miss a second thanks to Apple.

If you're reading this after seeing Lady Gaga perform, what did you think?

I'm not able to watch it, either. I tried watching it after the live show on Apple TV, iPad, and iTunes (which, apparently, we should be able to do according to the "Ways to Watch" section), but no luck. Clicking on the links does nothing. What am I missing here?